Torben G. Andersen

Available identifiers

zbMath Open andersen.torben-gWikidataQ28873721 ScholiaQ28873721MaRDI QIDQ277159

List of research outcomes

Publication	Date of Publication	Type
The Pricing of Tail Risk and the Equity Premium: Evidence From International Option Markets	2024-10-28	Paper
Intraday Periodic Volatility Curves	2024-07-05	Paper
Intraday cross-sectional distributions of systematic risk	2023-06-29	Paper
Corrigendum to ``Local mispricing and microstructural noise: a parametric perspective	2023-02-01	Paper
CONSISTENT LOCAL SPECTRUM INFERENCE FOR PREDICTIVE RETURN REGRESSIONS	2022-12-23	Paper
Testing for parameter instability and structural change in persistent predictive regressions	2022-12-14	Paper
Local mispricing and microstructural noise: a parametric perspective	2022-09-14	Paper
Recalcitrant betas: Intraday variation in the cross‐sectional dispersion of systematic risk	2021-11-11	Paper
Consistent inference for predictive regressions in persistent economic systems	2021-07-30	Paper
SPATIAL DEPENDENCE IN OPTION OBSERVATION ERRORS	2021-06-11	Paper
Tail risk and return predictability for the Japanese equity market	2021-03-24	Paper
Time-Varying Periodicity in Intraday Volatility	2020-01-15	Paper
INFERENCE FOR OPTION PANELS IN PURE-JUMP SETTINGS	2019-11-18	Paper
Unified inference for nonlinear factor models from panels with fixed and large time span	2019-09-02	Paper
Parametric Inference and Dynamic State Recovery From Option Panels	2019-01-30	Paper
Jump-robust volatility estimation using nearest neighbor truncation	2017-05-12	Paper
Realized volatility forecasting and market microstructure noise	2016-08-10	Paper
A reduced form framework for modeling volatility of speculative prices based on realized variation measures	2016-08-10	Paper
No-arbitrage semi-martingale restrictions for continuous-time volatility models subject to leverage effects, jumps and i.i.d. noise: theory and testable distributional implications	2016-05-04	Paper
The fine structure of equity-index option dynamics	2015-06-08	Paper
A ROBUST NEIGHBORHOOD TRUNCATION APPROACH TO ESTIMATION OF INTEGRATED QUARTICITY	2014-06-20	Paper
https://portal.mardi4nfdi.de/entity/Q3084271	2011-03-15	Paper
Realized Beta: Persistence and Predictability	2010-06-30	Paper
Stochastic Volatility: Origins and Overview	2009-11-27	Paper
Realized Volatility	2009-11-27	Paper
Correcting the Errors: Volatility Forecast Evaluation Using High-Frequency Data and Realized Volatilities	2006-10-24	Paper
Modeling and Forecasting Realized Volatility	2006-06-19	Paper
https://portal.mardi4nfdi.de/entity/Q3374312	2006-03-09	Paper
The distribution of realized exchange rate volatility	2006-03-09	Paper
The Distribution of Realized Exchange Rate Volatility	2003-08-10	Paper
Efficient method of moments estimation of a stochastic volatility model: A Monte Carlo study	1999-10-05	Paper
Towards a unified framework for high and low frequency return volatility modeling	1999-08-23	Paper
GMM and QML asymptotic standard deviations in stochastic volatility models: Comments on Ruiz (1994)	1998-11-10	Paper
https://portal.mardi4nfdi.de/entity/Q4372026	1998-01-21	Paper
Estimating continuous-time stochastic volatility models of the short-term interest rate	1997-08-12	Paper

Research outcomes over time

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